Alberto Plazzi

Universita' della Svizzera italiana

Professor of Finance

Via Buffi 13

CH-6900 Lugano

Switzerland

http://usi.to/mpy

Swiss Finance Institute

Faculty Member

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

24

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11,954

SSRN CITATIONS
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Top 5,247

in Total Papers Citations

90

CROSSREF CITATIONS

164

Scholarly Papers (24)

1.

Valuation in the Us Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and Universita' della Svizzera italiana
Downloads 1,559 (16,779)
Citation 1

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Real Estate, MIDAS, Cap rate, Predictive regression

2.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,465 (18,393)
Citation 7

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real estate, predictability, market efficiency, REIT

3.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,234 (23,819)
Citation 49

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return asymmetry, international equity markets, portfolio allocation, skewness

4.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 924 (36,060)
Citation 19

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risk, return, financial crisis, flight-to-safety

5.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate

EFA 2007 Ljubljana Meetings Paper, EFA 2005 Moscow Meetings Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 25 Jul 2005 Last Revised: 10 Oct 2016
Walter N. Torous, Rossen I. Valkanov and Alberto Plazzi
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and Universita' della Svizzera italiana
Downloads 887 (38,199)
Citation 15

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Cap rate, real estate, return predictability

What Constrains Liquidity Provision? Evidence From Institutional Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10, Forthcoming in Review of Finance
Number of pages: 46 Posted: 26 Mar 2013 Last Revised: 30 Jun 2020
Bilkent University - Faculty of Business Administration, Universita della Svizzera italiana (USI Lugano) and Universita' della Svizzera italiana
Downloads 656 (56,351)
Citation 12

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Number of pages: 45 Posted: 04 Oct 2013 Last Revised: 11 Nov 2014
Francesco A. Franzoni and Alberto Plazzi
Universita della Svizzera italiana (USI Lugano) and Universita' della Svizzera italiana
Downloads 112 (338,653)
Citation 7

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hedge funds, limits of arbitrage, liquidity provision, trading costs, funding liquidity

What Constrains Liquidity Provision? Evidence from Hedge Fund Trades

CEPR Discussion Paper No. DP13645
Number of pages: 46 Posted: 09 Apr 2019
Universita della Svizzera italiana (USI Lugano), Universita' della Svizzera italiana and Bilkent University - Faculty of Business Administration
Downloads 1 (933,997)
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funding liquidity, Hedge Funds, Limits of arbitrage, Liquidity Provision, Trading Costs

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 283 (151,047)

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volatility forecasting, multi-period forecasts, mixed-data sampling

8.

Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Swiss Finance Institute Research Paper No. 17-53, Published, Management Science, 2019, Vol. 65:11, 5268–5289
Number of pages: 59 Posted: 18 Oct 2013 Last Revised: 05 Mar 2021
Rutgers University, New Brunswick, University of Notre Dame, University of Konstanz - Department of Economics and Universita' della Svizzera italiana
Downloads 731 (49,721)
Citation 13

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Libor, manipulation, financial market misconduct, enforcement

9.

Equity Is Cheap for Large Financial Institutions

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 83 Posted: 14 Mar 2016 Last Revised: 31 Jan 2019
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers University, New Brunswick, Stanford Graduate School of Business and Universita' della Svizzera italiana
Downloads 627 (60,512)
Citation 1

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Financial crisis, Financial firms, Banking, Government bailouts

10.

Does Corporate Governance Matter? Evidence from the AGR Governance Rating

Swiss Finance Institute Research Paper No. 16-54
Number of pages: 40 Posted: 09 Sep 2016 Last Revised: 05 Dec 2019
Alberto Plazzi, Walter N. Torous and Umit Yilmaz
Universita' della Svizzera italiana, Massachusetts Institute of Technology and Georgetown University - McDonough School of Business
Downloads 552 (71,101)
Citation 1

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corporate governance, AGR, operating performance

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

Swiss Finance Institute Research Paper No. 21-30
Number of pages: 61 Posted: 14 Apr 2021 Last Revised: 02 Jun 2022
Ruggero Jappelli, Loriana Pelizzon and Alberto Plazzi
Goethe University, Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 447 (91,010)

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COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Public Guarantees

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

SAFE Working Paper No. 331
Number of pages: 68 Posted: 14 Dec 2021 Last Revised: 15 Mar 2022
Ruggero Jappelli, Loriana Pelizzon and Alberto Plazzi
Goethe University, Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 87 (399,822)

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COVID-19, Credit Risk, Sovereign Risk, Fiscal Capacity, Bailout

12.

Mind the (Convergence) Gap: Bond Predictability Strikes Back!

Swiss Finance Institute Research Paper No. 19-52, Forthcoming, Management Science
Number of pages: 54 Posted: 17 Mar 2012 Last Revised: 05 Mar 2021
Ca Foscari University of Venice - Dipartimento di Economia, QIO Quantitative Investment Office, Universita' della Svizzera italiana and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 392 (106,813)
Citation 2

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Bond Risk Premia, Forward Rates, Monetary Policy, Natural Rate of Interest, Bond Predictability

13.

Birds of a Feather – Do Hedge Fund Managers Flock Together?

Swiss Finance Institute Research Paper No. 16-10
Number of pages: 56 Posted: 10 Feb 2016 Last Revised: 21 Jun 2022
Alterneo Capital, University of Konstanz - Department of Economics and Universita' della Svizzera italiana
Downloads 355 (119,447)

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hedge funds, social ties, networks, abnormal performance

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Number of pages: 40 Posted: 19 Nov 2004
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 350 (120,562)

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Commercial real estate, cross-sectional volatility, total risk

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Real Estate Economics, Vol. 36, Issue 3, pp. 403-439, Fall 2008
Number of pages: 37 Posted: 04 Aug 2008
Alberto Plazzi, Walter Torous and Rossen I. Valkanov
Universita' della Svizzera italiana, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 5 (876,851)
Citation 3

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15.

Dissecting the Yield Curve: The International Evidence

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Swiss Finance Institute Research Paper No. 19-73, Journal of Banking and Finance, Forthcoming
Number of pages: 63 Posted: 24 Jun 2019 Last Revised: 12 Aug 2021
Andrea Berardi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and Universita' della Svizzera italiana
Downloads 292 (146,981)
Citation 1

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Term structure, term premia, yield volatility, macro factors, comovement

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 164 (251,902)

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

SAFE Working Paper No. 276
Number of pages: 51 Posted: 14 May 2020 Last Revised: 21 Dec 2021
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Universita' della Svizzera italiana
Downloads 97 (373,222)
Citation 1

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Sovereign credit risk, Monetary policy, Quantitative easing, Mundellian trilemma, Comovement

17.

Diversification by U.S. Banks: True Safety or a False Sense of Security?

Swiss Finance Institute Research Paper No. 16-43
Number of pages: 52 Posted: 02 Jul 2016 Last Revised: 22 Jul 2017
Rutgers University, New Brunswick, University of California, Los Angeles (UCLA) - Anderson School of Management and Universita' della Svizzera italiana
Downloads 238 (180,094)
Citation 1

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Bank diversification, Non-interest income, Systemic risk, Financial crisis

18.

Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Forecast Combination meets Mixed Frequency

Swiss Finance Institute Research Paper No. 21-21
Number of pages: 53 Posted: 08 Mar 2021 Last Revised: 03 Dec 2021
Matteo Garzoli, Alberto Plazzi and Rossen I. Valkanov
Universita della Svizzera italiana (USI Lugano), Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 234 (183,000)

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Real estate, Case-Shiller, MIDAS, Forecasting, Big Data

19.

Inflation Risk Premia, Yield Volatility and Macro Factors

Swiss Finance Institute Research Paper No. 18-13, Published, Journal of Financial Econometrics, 2019, Vol. 17:3, 397–431
Number of pages: 51 Posted: 30 Jan 2018 Last Revised: 05 Mar 2021
Andrea Berardi and Alberto Plazzi
Ca Foscari University of Venice - Dipartimento di Economia and Universita' della Svizzera italiana
Downloads 178 (234,700)
Citation 2

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Term Structure, Inflation Risk Premia, TIPS, Yield Volatility, Macro Factors

20.

Equity is Cheap for Large Financial Institutions: The International Evidence

NBER Working Paper No. w22355
Number of pages: 79 Posted: 20 Jun 2016 Last Revised: 01 Aug 2022
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Rutgers University, New Brunswick, Stanford Graduate School of Business and Universita' della Svizzera italiana
Downloads 35 (600,896)
Citation 4

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21.

Does Monetary Policy Impact Sovereign Credit Risk Comovement?

Number of pages: 49 Posted: 20 Dec 2021
Leibniz Institute for Financial Research SAFE, University of Padua - Department of Statistical Sciences and Universita' della Svizzera italiana
Downloads 26 (657,989)

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Sovereign credit risk, Monetary Policy, Quantitative easing, Mundellian trilemma, Comovement

22.

Valuation in US Commercial Real Estate

European Financial Management, Vol. 13, No. 3, pp. 472-497, June 2007
Number of pages: 26 Posted: 24 May 2007
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 23 (680,088)
Citation 2

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23.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business

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24.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07, https://doi.org/10.3905/jpm.2011.37.5.039
Posted: 21 May 2019
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management

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Dynamic portfolio choice, real estate, cap rate